OK, I found out a way to boot on Linux even if one did not make a boot floppy disk!!!
U just need to boot from the CD (the Linux one) and to pretend to do an upgrade.
Then after skipping the unwilling steps it will ask you to create a boot disk to which you say yes obviously!!! ;o)
Now here you go you can boot to Linux!!
Hope this will be helpfull to others.
AMD XP 2100+
MSI + NVidia NForce2
Int. GeForce 4MX
2 * 256MB DDR 333
Win XP Pro
Linux RH 9.0 Kernel 2.4.20-8